Quantitative Research Analyst

Job description

Bank Overview
BNP Paribas is a leading bank in Europe with an international reach. It has a presence in 73 countries, with more than 196,000 employees, including around 149,000 in Europe. The Group has key positions in its three main activities: Domestic Markets, International Financial Services (whose retail-banking networks and financial services are covered by Retail Banking & Services) and Corporate & Institutional Banking, which serves two client franchises: corporate clients and institutional investors.
BNP Paribas Corporate and Institutional Banking is a globally recognised leader offering capital markets, securities services, financing, treasury and advisory solutions.

Business Area/Dept Overview
BNP Paribas’ Global Markets business offers a broad range of products and services in the global interest rates, credit, currency, equities & commodity markets. Global Markets help their franchise of clients find effective ways to raise and invest capital as well as manage their exposure to risk. Their client base comprises of hundreds of corporations, institutional investors, banks, governments and supranational organizations.
Global Markets has the scale and reach to conduct business anywhere in the world and deliver products denominated in almost all of the world’s currencies. Their global network comprises more than 1,700 professionals working on our six main trading floors in London, Hong Kong, New York, Paris, Singapore and Tokyo. They are supported by regional offices throughout Europe, the Americas, Middle East and Asia-Pacific.

Purpose & Scope of role

The Global Markets Quantitative Research division is in charge of the modelling, pricing & risk management developments for the entire offering of products within the Global Markets activity. The team operates globally with representatives in London, Paris, Asia and New York and plays a critical role in providing innovative solutions.

This role focuses on the global management, development, delivery, maintenance and support of FI Research’s cross- asset analytics software libraries:

· Development and implementation of quantitative methodologies to be used for market risk measurement
· Development and adaptation of existing methodologies in order to be used to measure capital add-ons associated to non-modellable risk factors and standard calculations
· Maintain, co-ordinate and enhance development environment, communication, tests and best practices
· Design of innovative analytic/implementation approaches, system architecture, code optimisation, interfaces, etc.
· Development, delivery and support of tools based on FI Research’s analytics libraries

This requires a strong and permanent cooperation with other quantitative developers and analysts, as well as with the trading desks and the Global Markets IT division to ensure all quant developments integrate optimally with the IT ecosystem, thereby ensuring the best deliveries to the business.

Key Responsibilities of role Overall

The main responsibilities of the role are to:

· Maintain and enhance pricing analytics, co-ordinate and share knowledge with quants in other locations, improve interfaces, optimise code, follow the team's best practices.
· Develop, test, deliver and support tools based on analytics libraries
· As and when needed liaise with relevant internal functions such as various teams in the IT Department and Market Risk
· Help the bank adapt to new regulations and capital charges by providing tools to estimate their impacts

Development of quantitative methodologies

· Development and implementation of analytic tools for option pricing and risk for the electronic options platform
· Support the teams on pricing all related requests
· Develop risk management tools
· Participate to the development of pricing models and tools for the bespoke FX options business
· Contribution to the development of the team analytics library
· Contribution to the development of the global quantitative library used for valuations and risks of BNP Paribas Global Market Books
· Support the desks on issues related to prices and trades
· Hands on C++, Java, C# and python coding of new features in the system with an emphasis on well tested, high quality code which is performant when required

Specific Responsibilities
· Understand the key FX Option risk measures and how they are computed
· Build an in depth understanding of the pricing of FX options products with a focus on available market data sources , market making tools and client facing pricing systems
· Work on the pricing and risk management of FX Options and Hybrids positions, with an emphasis on the streamlining, automation and industrialisation of the volatility surface construction and the risk management platform

Internal Relationships

· Take an active part in all front office activities by collaborating with other functions (Trading, Sales, IT and Market Risk) and Research globally
· Interact with traders over functionality requirements, deliveries and support of existing functionality
· Maintain open communication with team and direct line management to fulfil firm notification requirements and pass on client concerns
· Direct contribution to BNPP operational permanent control framework

Desired profile

Qualifications :

Experience, Qualifications & Competencies

Essential Experience

·  Master or PhD degree qualification in mathematics, statistics, physics, engineering or finance/econometrics
·  Knowledge of quantitative finance and options
·  Strong mathematics and numerical techniques, e.g., linear algebra, root finding, finite differences
·  Good knowledge of Fixed Income products
·  Professional experience in the Financial Services industry ideally with experience in trading activities / market risk, quantitative finance, regulatory projects
·  Previous quantitative research experience and knowledge of financial modelling techniques
·  Strong programming skills with experience gained in a context of quantitative research (model implementation in an analytics pricing library).

Essential Competencies Methodologies / tools :

·  Programming and coding knowledge, ideally knowledge of Java, C++, C#, Python languages with a good understanding of what is required to write code which is both easy to test and debug and also achieves good computational performance
·  Data retrieval (Bloomberg, Reuters et.), Data manipulation and storage (SQL etc.), scripting languages (python etc.) Communication skills - Proficient
·  Is recognised by others as a highly effective communicator. Can present or skillfully communicate complex ideas, strategic and critical messages or ideas to large, culturally diverse and unfamiliar audiences, including in conflicting situations, both across and throughout the hierarchy and/or the top management.
·  Ensures that messages and policies are passed on at a global level.
·  Shows confidence when presenting and answers challenging questions. Organisational skills - Proficient
·  Consistently readjusts the activities and organisation of multiple tasks/people/teams in order to cope with unexpected elements or changing priorities, taking into account multiple criteria such as availability, skills, performance, delays, etc.
·  Is recognised for their planning and organisation skills.
·  If relevant, delegates to multiple people, coordinating complex projects/activities with important interdependence. Ability to deliver / results driven - Proficient
·  Proactively identifies areas of development, improvement or ways to maximise results and takes initiative to implement relevant actions, in the short and long term.
·  Where relevant, works proactively and autonomously, implementing work processes, ideas and solutions, including in situations where information is missing or unusual.

Adaptability - Proficient

·  Is a role model in the ability to quickly adapt their behaviour, style, approach, priorities, communication or working methods according to the needs of the task, individual/group, situation, constraints and circumstances
·  Is a key player in facilitating and helping others to adapt and implement changes
·  Seeks and creates learning opportunities for themselves to continuously develop and learn from, with others, both internally and from the wider industry.

Proactivity - Proficient

·  Proactively identifies areas of development, improvement or ways to maximise results and takes initiative to implement relevant actions, in the short and long term.
·  Works proactively and autonomously, implementing work processes, ideas and solutions, including in situations where information is missing or unusual.

Critical thinking - Proficient

·  Sees the big picture. Identifies relationships that underlie complicated situations, identifies areas of improvement or problems to be solved, as well as more subtle influences and variables often missed by others.

Resilience - Expert

·  Anticipates stressful situations. Shields others and/or exercises a calming influence on others in stressful situations.
·  Maintains sound performance and judgement under pressure. Accepts criticism based on its merits, and displays exemplary behaviour in stressful situations.

Client focused - Proficient

·  Aims at exceeding clients’ expectations, by seeking tailored solutions to their specific needs, and going even further where possible.
·  Anticipates regulatory or industry evolutions/transformations from a client perspective and makes sure that end-to-end customer experience is seamless.
·  Ensures client-oriented approach becomes part of the corporate culture. Shares best practices with others. Ability to collaborate / team work - Proficient
·  Works towards developing team goals above their own, supporting team members and acting to suppress self-related constraints. Is a facilitator who unites and creates synergies
·  Sees the big picture and understands the interdependence between their activity and other individuals, teams and functions.
·  Appreciates, embraces and capitalises on workplace diversity and the various viewpoints and contributions from different nationalities, cultures, backgrounds, gender, age groups, and additional categories protected by the law.

Transversal skills :

Creativity & Innovation - Proficient

·  Continuously identifies, proposes and implements innovative or alternative ideas ahead of others to improve topics or solve issues or problems that are multidisciplinary or cross-organisational, to improve the customer journey or the organisation, to develop new businesses or thought models.
·  Provides an environment that encourages innovation; leads development of new ideas that makes a difference and adds value to the company. Is open to using different forms of technology.

Analytical Ability - Proficient

·  Objectively reviews and connects all the relevant information and associated elements related to their work, from multiple angles, and finds appropriate solutions.
·  Actively seeks out and monitors critical industry information and activities inside and outside the organisation and integrates this into their activities.
·  Handles multiple and complex reports/information sources. Is able to rapidly analyse incomplete information to enable decision-making.

Business Skills :

Market, product & business

·  Is genuinely interested in financial markets and continually learning and staying abreast of new developments. Evidences a good appreciation of economics and market dynamics, with enough understanding to present views on market conditions and trends

Business risk

·  Demonstrates a good awareness of risk and fundamental risk concepts. Always considers risk in his/her daily activities and abides by the Key Front Officer Responsibilities and Guidelines
·  Understands the market, credit, operational, compliance, legal, regulatory and reputational risks of transactions he/ she manages

Conduct

·  Corporate role model, integrity & ethics - Acts with discipline and high ethical standards
·  Be a role model, supporting and fostering a culture of good Conduct
·  Demonstrate proactivity, transparency, and accountability for identifying and managing conduct risks
·  Consider the implications of your actions on colleagues, partners and clients before making decisions, and escalate issues to your manager when unsure

Risk awareness

·  Demonstrates a good awareness of risk and fundamental risk concepts. Always considers risk in his/her daily activities and abides by the Key Front Officer Responsibilities, where relevant

Diligence

·  Displays dedication & prioritises problems by considering the impact on the business; identifies quick-wins